A. E. Brockwell
Rosenblatt's transformation has been used extensively
for evaluation of model goodness-of-fit, but it only applies
to models whose joint distribution is continuous. In this
paper we generalize the transformation so that it applies
to arbitrary probability models. The transformation is
simple, but has a wide range of possible applications, providing a tool
for exploratory data analysis and formal goodness-of-fit testing
for a very general class of probability models.
The method is demonstrated with specific examples.